Cornish-Fisher expansions about the F-distribution

DOI10.1016/J.AMC.2012.02.013MaRDI QIDQ419561zbMATH OpenOpenAlexFDO

Authors Christopher S. Withers, Saralees Nadarajah

Publication date 18 May 2012

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2012.02.013

zbMATH Keywords

approximationscumulants\(F\) distributionCornish-Fisher expansionsHill-Davis expansionspercentile

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17)

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Cites work

• scientific article; zbMATH DE number 3940411 (Why is no real title available?)
• scientific article; zbMATH DE number 775283 (Why is no real title available?)
• Accurate distribution and its asymptotic expansion for the tetrachoric correlation coefficient
• Asymptotic constants for minimal distance in the central limit theorem
• Edgeworth expansions for realized volatility and related estimators
• Generalized Asymptotic Expansions of Cornish-Fisher Type
• Generalized Cornish-Fisher expansions
• The distribution and quantiles of a function of parameter estimates

Cited in

(9)

• Generalized Cornish-Fisher expansions
• Rearranging Edgeworth-Cornish-Fisher expansions
• Cornish-Fisher expansions using sample cumulants and monotonic transformations
• Cornish-Fisher expansions for functionals of the partial sum empirical distribution
• Cornish-Fisher expansions for functionals of the weighted partial sum empirical distribution
• scientific article; zbMATH DE number 3940411 (Why is no real title available?)
• scientific article; zbMATH DE number 4052785 (Why is no real title available?)
• scientific article; zbMATH DE number 4032786 (Why is no real title available?)
• Cornish-Fisher expansions for Poisson and negative binomial processes

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